fenjob17423

State Street Corporation
Quantitative Analyst - Model Development

OUR COMPANY: Our bank is the world's leading provider of financial services to institutional investors including investment servicing, investment management and investment research and trading. With $28.19 trillion in assets under custody and administration and $2.45 trillion in assets under management as of December 31, 2014, the bank operates globally in more than 100 geographic markets and employs 29,970 worldwide.

We're a company that insists on, and rewards, performance excellence. We know our success hinges on attracting the best people to join us - people like you.

JOB DESCRIPTION: The Quantitative Analyst within Risk Analytics team in Poland will report to the local team manager located in Poland, and will be responsible for supporting the US team to conduct model development activities within existing ERM department. The scope of Poland team covers mainly the regulatory and economic capital models. These models are in areas including counterparty credit risk (e.g., Probability of Default, Loss Given Default, Expected Loss); ICAAP models (e.g., Business Risk, Credit Risk add-on calculation); and Operational Risk.

JOB QUALIFICATIONS: Support the US team to conduct model development activities compliant with the regulatory and Model Risk Management guidelines:
- Review of the quantitative methods for risk measurement used in the industry as well as proposed by academia.
- Working with data providers and internal counterparties to determine the development data.
- Preparation of the algorithms and codes used to estimate the model.
- Presentation of the results during workshops with business counterparties and senior management. Application of suggested improvements.
- Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
- Preparation of model technical documentation and ongoing monitoring plan.
- Cooperation with the information technology professionals during preparation of model implementation plan.
- Cooperation with Model Risk Management during model validation stage. Incorporation of suggested remediation actions.

JOB REQUIREMENTS:
Basic Qualifications:
- Previous experience in independent model development of risk/financial models in banking industry.
- PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
- 3+ years of programming experience with SAS, R, Matlab, STATA.
- Good communication skills (verbal and written in English).
- Ability to execute on competing priorities in a timely manner.
- Quick learner.
- Minimum 3 year of experiences in risk management in banking industry.

Desired Qualifications:
- Hands on experience in model development and/or model validation.

LOCATION: Poland

APPLICATION PROCEDURE: please send your CV to kmakiel@statestreet.com

Posted: 22 Dec 2017